Model Selection and Simplification Using Lattices
AbstractThis paper shows how to cope with a problem of model selection and simplification using the principle of coherence (Gabriel (1969): A procedure involving testing a set of models ought not accept a model while rejecting a more general model). The mathematical lattice theory is used to define a partial ordering over the space of considered models. Several examples of partial ordering in large families of models are given along with a searching algorithm to deter- mine the best model with respect to chosen criteria.
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Bibliographic InfoPaper provided by EconWPA in its series Econometrics with number 0012004.
Length: 36 pages
Date of creation: 12 Feb 2001
Date of revision:
Note: Type of Document - Acrobat PDF; pages: 36 ; figures: included
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Model selection and simplification; Principle of coherence; Lattice of models; Regression; ARMA models;
Other versions of this item:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
This paper has been announced in the following NEP Reports:
- NEP-ALL-2001-02-27 (All new papers)
- NEP-ECM-2001-03-14 (Econometrics)
- NEP-EVO-2001-02-27 (Evolutionary Economics)
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